Extreme Value Theory for Time Series (Record no. 62177)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 04398nam a22005535i 4500 |
| 001 - CONTROL NUMBER | |
| control field | 978-3-031-59156-3 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20251030112707.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 240802s2024 sz | s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9783031591563 |
| -- | 978-3-031-59156-3 |
| 024 7# - OTHER STANDARD IDENTIFIER | |
| Standard number or code | 10.1007/978-3-031-59156-3 |
| Source of number or code | doi |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | QA273.A1-274.9 |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | PBT |
| Source | bicssc |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | PBWL |
| Source | bicssc |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | MAT029000 |
| Source | bisacsh |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | PBT |
| Source | thema |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | PBWL |
| Source | thema |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Mikosch, Thomas. |
| Relator term | author. |
| Relator code | aut |
| -- | http://id.loc.gov/vocabulary/relators/aut |
| 9 (RLIN) | 81790 |
| 245 10 - TITLE STATEMENT | |
| Title | Extreme Value Theory for Time Series |
| Medium | [electronic resource] : |
| Remainder of title | Models with Power-Law Tails / |
| Statement of responsibility, etc. | by Thomas Mikosch, Olivier Wintenberger. |
| 250 ## - EDITION STATEMENT | |
| Edition statement | 1st ed. 2024. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Place of production, publication, distribution, manufacture | Cham : |
| Name of producer, publisher, distributor, manufacturer | Springer Nature Switzerland : |
| -- | Imprint: Springer, |
| Date of production, publication, distribution, manufacture, or copyright notice | 2024. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | XVI, 766 p. 83 illus., 81 illus. in color. |
| Other physical details | online resource. |
| 336 ## - CONTENT TYPE | |
| Content type term | text |
| Content type code | txt |
| Source | rdacontent |
| 337 ## - MEDIA TYPE | |
| Media type term | computer |
| Media type code | c |
| Source | rdamedia |
| 338 ## - CARRIER TYPE | |
| Carrier type term | online resource |
| Carrier type code | cr |
| Source | rdacarrier |
| 347 ## - DIGITAL FILE CHARACTERISTICS | |
| File type | text file |
| Encoding format | |
| Source | rda |
| 490 1# - SERIES STATEMENT | |
| Series statement | Springer Series in Operations Research and Financial Engineering, |
| International Standard Serial Number | 2197-1773 |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Introduction -- Part 1 Regular variation of distributions and processes -- 2 The iid univariate benchmark -- 3 Regularly varying random variables and vectors -- 4 Regularly varying time series -- 5 Examples of regularly varying stationary processes -- Part 2 Point process convergence and cluster phenomena of time series -- 6 Clusters of extremes -- 7 Point process convergence for regularly varying sequences -- 8 Applications of point process convergence -- Part 3 Infinite variance central limit theory -- 9 Infinite-variance central limit theory -- 10 Self-normalization, sample autocorrelations and the extremogram -- Appendix A Point processes -- Appendix B Univariate regular variation -- Appendix C Vague convergence -- Appendix D Tools -- Appendix E Multivariate regular variation – supplementary results -- Appendix F Heavy-tail large deviations for sequences of independent random variables and vectors, and their applications.-references -- index -- List of abbreviations and symbols. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | This book deals with extreme value theory for univariate and multivariate time series models characterized by power-law tails. These include the classical ARMA models with heavy-tailed noise and financial econometrics models such as the GARCH and stochastic volatility models. Rigorous descriptions of power-law tails are provided through the concept of regular variation. Several chapters are devoted to the exploration of regularly varying structures. The remaining chapters focus on the impact of heavy tails on time series, including the study of extremal cluster phenomena through point process techniques. A major part of the book investigates how extremal dependence alters the limit structure of sample means, maxima, order statistics, sample autocorrelations. This text illuminates the theory through hundreds of examples and as many graphs showcasing its applications to real-life financial and simulated data. The book can serve as a text for PhD and Master courses on applied probability, extreme value theory, and time series analysis. It is a unique reference source for the heavy-tail modeler. Its reference quality is enhanced by an exhaustive bibliography, annotated by notes and comments making the book broadly and easily accessible. . |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | |
| 9 (RLIN) | 65724 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | |
| 9 (RLIN) | 67233 |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | |
| 9 (RLIN) | 65727 |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | |
| 9 (RLIN) | 67233 |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Wintenberger, Olivier. |
| Relator term | author. |
| Relator code | aut |
| -- | http://id.loc.gov/vocabulary/relators/aut |
| 9 (RLIN) | 81791 |
| 710 2# - ADDED ENTRY--CORPORATE NAME | |
| Corporate name or jurisdiction name as entry element | SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY | |
| Title | Springer Nature eBook |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Relationship information | Printed edition: |
| International Standard Book Number | 9783031591556 |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Relationship information | Printed edition: |
| International Standard Book Number | 9783031591570 |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Relationship information | Printed edition: |
| International Standard Book Number | 9783031591587 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Springer Series in Operations Research and Financial Engineering, |
| International Standard Serial Number | 2197-1773 |
| 9 (RLIN) | 76963 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://doi.org/10.1007/978-3-031-59156-3">https://doi.org/10.1007/978-3-031-59156-3</a> |
| 912 ## - | |
| -- | ZDB-2-SMA |
| 912 ## - | |
| -- | ZDB-2-SXMS |
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